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Connectivity - Based Clustering of GDP Time Series

Author

Listed:
  • Eugen Scarlat

    (Polytechnic University Bucharest, Applied Sci. Physics Dept.)

Abstract

The paper presents an alternative connectivity relationship in the form of band limited, sub-quarterly time shifts between quarterly sampled series of the variations of the gross domestic product (GDP). Eight groups around the GDP were identified, expressed in the most powerful European currencies, the Euro (EUR), the Swiss Franc (CHF), and the Great Britain Pound (GBP). The findings allow for building time maps with daily resolutions that endorse the deterministic perspective of the chronological spread of financial fluctuations generated by bilateral trades. The German GDP seems to impose the timing of the aggregated GDP of the Eurozone-12. The method is helpful to detect time delays between processes in the range of 2-4Q, so that knowing the sense and the magnitude of the movements in the advanced series might indicate the trends in the delayed one, or to lay the input variables in correct time positions in multivariate autoregressive lag models or in mixed frequency models.

Suggested Citation

  • Eugen Scarlat, 2016. "Connectivity - Based Clustering of GDP Time Series," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 23-38, March.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:1:p:23-38
    as

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    File URL: http://www.ipe.ro/rjef/rjef1_16/rjef1_2016p23-38.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    time shift; cluster; time map; bilateral trade; financial fluctuations;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • F16 - International Economics - - Trade - - - Trade and Labor Market Interactions

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